"The consequence for me is that Martinique (for example) is wrongly located in Europe"

There is currently no way to designate internal states/departments within a country to different continents. A country, and all it's internal states, may only belong to one continent. Since most of France is located in Europe, it's designated as Europe. In the future it may become possible for internal divisions to become more granular such that each internal state/department may be assigned to a separate continent.